Big Data is an emerging paradigm in almost all industries. Finance big data (FBD) is becoming one of the most promising areas of management and governance in the financial sector. It is significant...

Models incorporating "latent" variables have been commonplace in financial, social, and behavioral sciences. Factormodel, themost popular latentmodel, explains the continuous observed variables in a smaller set of latent variables (factors) in a matter of linear relationship. However, complex data often simultaneously display asymmetric dependence, asymptotic dependence, and positive (negative) dependence between random variables, which linearity and Gaussian distributions and many other extant distributions are not capable of modeling. This article proposes a nonlinear factor model that can model the above-mentioned variable dependence features but still possesses a simple form of factor structure. The random variables, marginally distributed as unit Frechet distributions, are decomposed into max linear functions of underlying Frechet idiosyncratic risks, transformed from Gaussian copula, and independent shared external Frechet risks. By allowing the random variables to share underlying (latent) pervasive risks with random impact parameters, various dependence structures are created. This innovates a new promising technique to generate families of distributions with simple interpretations. We dive in the multivariate extreme value properties of the proposed model and investigate maximum composite likelihood methods for the impact parameters of the latent risks. The estimates are shown to be consistent. The estimation schemes are illustrated on several sets of simulated data, where comparisons of performance are addressed. We employ a bootstrap method to obtain standard errors in real data analysis. Real application to financial data reveals inherent dependencies that previous work has not disclosed and demonstrates the model's interpretability to real data. Supplementary materials for this article are available online.

Since the first confirmed case of COVID-19 was identified in December 2019, the total COVID-19 patients are up to 80,675,745, and the number of deaths is 1,764,185 as of December 27, 2020. The problem is that researchers are still learning about it, and new variants of SARS-CoV-2 are not stopping. For medical treatment, essential and informative genes can lead to accurate tests of whether an individual has contracted COVID-19 and help develop highly efficient vaccines, antiviral drugs, and treatments. As a result, identifying critical genes related to COVID-19 has been an urgent task for medical researchers. We conducted a competing risk analysis using the max-linear logistic regression model to analyze 126 blood samples from COVID-19-positive and COVID-19-negative patients. Our research led to a competing COVID-19 risk classifier derived from 19,472 genes and their differential expression values. The final classifier model only involves five critical genes, ABCB6, KIAA1614, MND1, SMG1, RIPK3, which led to 100% sensitivity and 100% specificity of the 126 samples. Given their 100% accuracy in predicting COVID-19 positive or negative status, these five genes can be critical in developing proper, focused, and accurate COVID-19 testing procedures, guiding the second-generation vaccine development, studying antiviral drugs and treatments. It is expected that these five genes can motivate numerous new COVID-19 researches.